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Spurious Regression in Forecast-Encompassing Tests

Phillips, Peter C.B. - In: Econometric Theory 11 (1995) 05, pp. 1188-1190

Persistent link: https://www.econbiz.de/10005411622

Spurious Regression and Generalized Least Squares

Phillips, Peter C.B.; Hodgson, Douglas J. - In: Econometric Theory 10 (1994) 05, pp. 967-968

Persistent link: https://www.econbiz.de/10005411643

Unit Root Testing with Intermittent Data

Phillips, Peter C.B. - In: Econometric Theory 10 (1994) 3-4, pp. 817-818

Persistent link: https://www.econbiz.de/10005411683

New Heraldry for ET

Phillips, Peter C.B. - In: Econometric Theory 13 (1997) 06, pp. 769-769

Persistent link: https://www.econbiz.de/10005411692

LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS

Phillips, Peter C.B.; Magdalinos, Tassos - In: Econometric Theory 24 (2008) 04, pp. 865-887

A limit theory is developed for multivariate regression in an explosive cointegrated system. The asymptotic behavior of the least squares estimator of the cointegrating coefficients is found to depend upon the precise relationship between the explosive regressors. When the eigenvalues of the...

Persistent link: https://www.econbiz.de/10005411702